Senior Quantitative Model Validation Expert
2 days ago
We are seeking a highly skilled and experienced Senior Quantitative Model Validation Expert to join our team in India (Bangalore, Gurgaon or Kolkata). As a key member of our Enterprise's Model Risk Management Team, you will be responsible for validating credit risk models for a BFS client in North America.
In this role, you will work closely with our Model Risk Management team to ensure that all credit risk models meet regulatory requirements and industry standards. Your primary responsibility will be to conduct end-to-end independent validation of credit risk and regulatory models, including but not limited to PD, LGD, EAD, Stress Testing, CECL, Credit Scorecards, AML and counter fraud models etc.
Key Responsibilities:
• Conduct first time (baseline), change based and annual validation of credit risk models
• Assess the models conceptually and quantitatively to ensure they are suitable for their intended use
• Conduct necessary assessments to challenge the model effectively, including evaluating adequacy of model documentation in line with regulatory guidelines
• Validate source data quality, forecast data quality as well as change management
• Develop benchmark models using statistical/Machine Learning techniques during validation exercise to challenge model methodology
• Assess model monitoring and implementation process, as well as model calibration techniques
• Prepare model validation report summarizing findings and provide recommendations and risk rate the models
Qualifications
To be successful in this role, you will need to have:
• Master's degree or higher in Finance, Mathematics, Economics, Statistics, or equivalent experience
• Leading and hands-on experience in BFS analytical projects supporting portfolio analytics/predictive modeling/independent validation of models
• Experience in credit risk modeling/independent validation of models (Regression, Logistic Regression, Time series, Clustering, CHAID/Classification trees, Time Series, Competing Risk, Survival Models, Markov TPM, scorecards, etc.)
• Understanding of and experience in regulatory risk modeling/validation – SR 11-7, CECL, IFRS 9, CCAR, Basel IRB
• Hands on expertise in Excel, SAS & Python/R
• Strong client management and communication/presentation skills – written & verbal
• Strong project management experience and demonstrated expertise of communicating and coordinating across multiple business units
Salary
Estimated salary for this position is ₹25,00,000 per annum. This figure is based on industry standards and may vary depending on individual qualifications and experience.
Genpact offers a dynamic and inclusive work environment that values diversity, respect, and innovation. If you are passionate about working in a fast-paced and challenging environment, we encourage you to apply.
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